http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
- 中文 을 입력하시려면 zhongwen을 입력하시고 space를누르시면됩니다.
- 北京 을 입력하시려면 beijing을 입력하시고 space를 누르시면 됩니다.
RISS 인기검색어
- 검색키워드
- 저자 : Larwuy Lennox (검색결과 1 건)
- 무료
- 기관 내 무료
- 유료
-
GARCH-X(1, 1) model allowing a non-linear function of the variance to follow an AR(1) process
Nugroho Didit B,Wicaksono Bernadus AA,Larwuy Lennox 한국통계학회 2023 Communications for statistical applications and me Vol.30 No.2
GARCH-X(1,1) model specifies that conditional variance follows an AR(1) process and includes a past exogenous variable. This study proposes a new class from that model by allowing a more general (non-linear) variance function to follow an AR(1) process. The functions applied to the variance equation include exponential, Tukey's ladder, and Yeo–Johnson transformations. In the framework of normal and student-t distributions for return errors, the empirical analysis focuses on two stock indices data in developed countries (FTSE100 and SP500) over the daily period from January 2000 to December 2020. This study uses 10-minute realized volatility as the exogenous component. The parameters of considered models are estimated using the adaptive random walk metropolis method in the Monte Carlo Markov chain algorithm and implemented in the Matlab program. The 95% highest posterior density intervals show that the three transformations are significant for the GARCH-X(1,1) model. In general, based on the Akaike information criterion, the GARCH-X(1,1) model that has return errors with student-t distribution and variance transformed by Tukey's ladder function provides the best data fit. In forecasting value-at-risk with the 95% confidence level, the Christoffersen’s independence test suggest that non-linear models is the most suitable for modeling return data, especially model with the Tukey's ladder transformation.
ScienceON
DBpia연관 검색어 추천
이 검색어로 많이 본 자료
활용도 높은 자료
